Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital
收藏NBER2006-01-01 更新2025-01-04 收录
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https://www.nber.org/papers/w11941
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We reexamine the time-series relation between the conditional mean and variance of stock market returns. To proxy for the conditional mean return, we use the implied cost of capital, computed using analyst forecasts. The usefulness of this proxy is shown in simulations. In empirical analysis, we
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美国国家经济研究局创建时间：
2006-01-01
